Universal Residuals: A Multivariate Transformation

A. E. Brockwell

Revised 8/2006


Rosenblatt's transformation has been used extensively for evaluation of model goodness-of-fit, but it only applies to models whose joint distribution is continuous. In this paper we generalize the transformation so that it applies to arbitrary probability models. The transformation is simple, but has a wide range of possible applications, providing a tool for exploratory data analysis and formal goodness-of-fit testing for a very general class of probability models. The method is demonstrated with specific examples.

Heidi Sestrich 2006-05-31
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